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Openness and the Exchange Rate Exposure of National Stock Markets

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  • Friberg, Richard
  • Nydahl, Stefan

Abstract

The relationship between the valuation of the stock market and an effective exchange rate is examined. Monthly data on 11 industrialized countries, for the period 1973-96, are used. It is found that the more open the economy, the stronger is the (positive) relationship between return on the stock market and the exchange rate. The pattern that is found is consistent with the well-documented findings of less than full pass-through of exchange rates into import prices. Copyright @ 1999 by John Wiley & Sons, Ltd. All rights reserved.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 4 (1999)
Issue (Month): 1 (January)
Pages: 55-62

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Handle: RePEc:ijf:ijfiec:v:4:y:1999:i:1:p:55-62

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Web page: http://www.interscience.wiley.com/jpages/1076-9307/

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Cited by:
  1. Harald Hau & Hélène Rey, 2006. "Exchange Rates, Equity Prices, and Capital Flows," Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 273-317.
  2. Muller, Aline & Verschoor, Willem F.C., 2006. "Foreign exchange risk exposure: Survey and suggestions," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 385-410, October.
  3. Elaine Hutson & Anthony O'Driscoll, 2010. "Firm-level exchange exposure in the Eurozone," Working Papers 200841, Geary Institute, University College Dublin.
  4. Nukhet Dogan & Yeliz Yalcin, 2007. "The effects of the exchange rate movements on the Istanbul stock exchange," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(1), pages 39-46, January.
  5. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4738-4754.
  6. Hutson, Elaine & O'Driscoll, Anthony, 2010. "Firm-level exchange rate exposure in the Eurozone," International Business Review, Elsevier, vol. 19(5), pages 468-478, October.
  7. Mark J. Holmes & Maghrebi Nabil, 2002. "Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets," International Economic Journal, Taylor & Francis Journals, vol. 16(4), pages 121-139.
  8. Christian Pierdzioch & Renatas Kizys, 2010. "Sources of time-varying exchange rate exposure," International Economics and Economic Policy, Springer, vol. 7(4), pages 371-390, December.
  9. Claudio Soto & Jorge Selaive, 2003. "Openness and Imperfect Pass-Through: Implications for the Monetary Policy," Working Papers Central Bank of Chile 216, Central Bank of Chile.

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